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石头鱼170 · 2017年03月22日

二级另类投资题目请教 第四十六章

老师请讲解一下下面这一题,谢谢!我认为答案并不是很正确,您觉得呢?




Menlo Bank recently released a report on the coffee market. Brown shares the key
conclusion from the report with Musicale: “The coffee market had a global harvest that
was greater than expected. Despite the large harvest, coffee futures trading activity is
balanced between producers and consumers. This balanced condition is not expected
to change over the next year.






Based on the key conclusion from the Menlo Bank coffee market report, the
shape of the coffee futures curve in Exhibit 2 is most consistent with the:
A insurance theory.
B theory of storage.
C hedging pressure hypothesis.






B is correct. The theory of storage focuses on the level of commodity inventories and the state of supply and demand. A commodity that is regularly stored
should have a higher price in the future (contango) to account for those storage
costs. Because coffee is a commodity that requires storage, its higher future
price is consistent with the theory of storage.







石头鱼170 · 2017年03月22日

我的理解是 涉及到供求关系 应该就是指hedging pressure吧?

竹子 · 2017年04月12日

B理论也涉及

1 个答案

竹子 · 2017年03月22日

不太清楚你的疑问在哪里,那我就说一下我的思路。

首先表2显示咖啡的期货价格是上升的。

根据A选项理论,咖啡丰收,生产者需要更多的空头头寸来对冲风险,futures价格会下降,不符合表2数据。

根据B选项理论,咖啡丰收,如果supply dominates demand,也就是说生产者会将咖啡储存起来,未来再卖,此时会有存储成本,成本增加,futures价格上升,此时与表2数据吻合。

根据C选项理论,咖啡丰收,此时producers exceed consumers,生产者的空头头寸>消费者的多头头寸,此时不平衡,需要speculators进入做为生产者空头的对手方。但speculators需要更多的收益,会使期货价格下降(backwardation),也与表2数据不符。


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